function w = gec_fun(X, c)
% The vast portfolio selection estimator with gross-exposure constraints by
% Fan et al. (2012)
% 
%   c = tuning parameter
    
    % 0. house clean    
    N = size(X,2);
    SIG = analytical_shrinkage(X);
    l = ones(N,1);
    
    % 1. estimate w using CVX
    cvx_begin quiet
        variable w(N);
        minimize(w'*SIG*w);
        subject to
            w'*l == 1;
            norm(w,1) <= c;
    cvx_end       
end
 



